This paper proposes a new forecasting method in which the cointegration rank switches at unknown times. In this method, time series observations are divided into several segments, and a cointegrated vector autoregressive model is fi tted to each segment. The goodness of fi t of the global model, con
β¦ LIBER β¦
REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
β Scribed by SIKLOS, PIERRE L.; GRANGER, CLIVE W.J.
- Book ID
- 120822361
- Publisher
- Cambridge University Press
- Year
- 1997
- Tongue
- English
- Weight
- 326 KB
- Volume
- 1
- Category
- Article
- ISSN
- 1365-1005
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## Abstract In this paper we examine the causal linkages between the Gβ7 longβterm interest rates by using a new technique, which enables the researcher to analyse relations between a set of __I__(1) series without imposing any identification conditions based on economic theory. Specifically, we ap